PhD in Finance - Premia Capital Management, LLC

EDHEC-Risk Institute
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June/August 2012
In this issue:
Editorial ..................................................................................................................................................... 1
Core faculty strengthened ......................................................................................................................... 4
Faculty and student interviews .................................................................................................................. 5
Programme and faculty news .................................................................................................................... 8
EDHEC-Risk Institute news ........................................................................................................................ 11
EDHEC Business School news .................................................................................................................... 15
Important information for prospective applicants .................................................................................... 16
A rich new harvest
Over the last ten years, EDHEC-Risk Institute has
generated new knowledge and brought academic
advances in the field of investment management to
practitioners, by combining research with outreach
and executive education activities. Its educational
effort culminated with the launch of the PhD in
Finance in 2008, a programme designed to offer
industry professionals the opportunity to become
autonomous researchers by following a rigorous
doctoral curriculum while remaining in their jobs.
The main achievement of any doctoral programme is
the authoring of a dissertation, a work that makes a
significant contribution to the body of knowledge and
demonstrates not only mastery of the research
techniques in the field but also the ability to articulate
and substantiate original thinking.
While the EDHEC-Risk Institute PhD in Finance allows
participants to work on fundamental research
pursuits, its differentiating ambition is to train a new
breed of practitioners who will be combining their
practical, in-field expertise with the knowledge and
research skills acquired through the programme to
exert thought-leadership and introduce radical
innovation in the finance industry.
In the course of the last calendar year, five
programme participants from the inaugural class
successfully defended their theses.
René Garcia, Academic Director, EDHEC-Risk Institute PhD in Finance and
Professor of Finance, EDHEC Business School
Gideon Ozik wrote two essays on hedge funds. In his
first essay, Dr Ozik advances that share restrictions
can adversely induce information asymmetry between
managers and their clients about future fund flows.
Focusing on share-restricted funds, the paper
demonstrates that funds with recent outflows
underperform funds with recent inflows by about 5.6%
annually over 1998-2008. No such return spread is
observed for funds with low-share restriction. As
managers may also act as investors in their own funds,
the information asymmetry potentially allows them to
profit by trading ahead of their clients. These results
highlight the significance of the recent SEC
Newsletter PhD in Finance June / August 2012 - 1 -
allegations of flow-front-running activity by
hedge-fund insiders. The paper was presented at the
2012 meeting of the American Finance Association,
the most prestigious academic conference devoted to
financial economics, and at the Fourth Annual
Conference on Hedge Funds in Paris. Dr Ozik’s second
paper looks at the relationship between the media
coverage of funds and their future performance.
Applying textual analysis to news items, it documents
several types of media biases and uncovers valuable
information embedded in media coverage not yet
exploited by investors. This paper and related work
were presented at the CRSP Forum of the University
of Chicago, at the Third Annual Conference on Hedge
Funds in Paris and at the European Winter Finance
Summit, among others. In early 2012, Dr Ozik left his
position as Head of Investment Solutions for the
USD3bn alternative investment manager Nexar
Capital Group (now part of UBP) to start Alphanes, a
big-data start-up serving large institutions by turning
some of the ideas initiated in the dissertation process
into an innovative investment process.
Daniel Mantilla-Garcia studied idiosyncratic
volatility and the predictability of returns in a paper
that documents that the cross-sectional dispersion of
stock returns can be regarded as a consistent and
efficient estimator for idiosyncratic volatility. This
new measure is model-free and observable at any
frequency. Empirically, it provides a very good proxy
for average idiosyncratic risk and predicts aggregate
returns well, especially at the daily frequency. The
paper also provides evidence that idiosyncratic risk is
a positively rewarded risk factor. This paper has been
presented at the Financial Econometrics Conference
organised by the Toulouse School of Economics and
the annual meeting of the European Finance
Association, among others. The second essay by Dr
Mantilla-Garcia, joint with another EDHEC-Risk
Institute PhD in Finance alumnus, Dr Vijay
Vaidyanathan, deals with the power of the dividend
price ratio to predict future stock returns. Most
studies on return predictability assume that predictor
variables follow stationary processes with constant
long run means. In view of recent evidence of the role
of structural breaks in the dividend-price ratio mean,
the paper proposes an estimation method that
explicitly incorporates the uncertainty about the
location and magnitude of structural breaks in the
predictor in order to extract the regime mean
component of the dividend-price ratio. Adjusting for
structural changes in the ratio’s mean and estimation
error improves the predictive explanatory power
in-sample and out-of-sample to a very significant
extent. Having completed his residential track service
with EDHEC-Risk Institute, Dr Mantilla-Garcia joined
Koris International as Head of Research and
Development. Koris International is a boutique
investment advisor specialising in dynamic asset
allocation, which has recently signed strategic
partnerships with Rothschild and Lyxor Asset
Management.
Advisors and dissertation committee members
Kelvin Foo Chiah Shiung: Advisor and committee chair: PhD in Finance Academic Director Professor René
Garcia – External examiner: Tim Bollerslev, Professor of Finance, Fuqua School of Business and Juanita and
Clifton Kreps Distinguished Professor of Economics, Duke University – Other committee member: Professor
Robert Kimmel, EDHEC Business School.
Daniel Mantilla-Garcia – Advisors: PhD in Finance Academic Director Professor René Garcia and
EDHEC-Risk Institute Scientific Director Professor Lionel Martellini – Committee chair: Raman Uppal,
EDHEC Business School – External examiner: Ravi Bansal, J.B. Fuqua Professor of Finance, Fuqua School of
Business, Duke University.
Gideon Ozik – Advisor: PhD in Finance Academic Director Professor René Garcia – Committee chair: Raman
Uppal, EDHEC Business School – External examiner: Professor Tarun Ramadorai, Professor of Financial
Economics, Saïd Business School, Oxford University.
Kaipichit Ruengsrichaiya – Advisors: Professors Florencio López-de-Silanes and Pierre Mella-Barral,
EDHEC Business School – Committee chair: Professor Giuseppe Bertola, EDHEC Business School – External
examiner: Jakša Cvitanić, Professor of Mathematical Finance, Division of the Humanities and Social
Sciences, California Institute of Technology.
Vijay Vaidyanathan – Advisor: Professor Pierre Mella-Barral, EDHEC Business School – External examiner
and committee chair: Ulrich Helge, Professor of Finance, HEC Paris – Other committee member: Professor
Florencio López-de-Silanes, EDHEC Business School.
Newsletter PhD in Finance June / August 2012 - 2 -
Besides the paper co-written with Dr Mantilla-Garcia,
Dr Vaidyanathan wrote two essays on venture capital.
The first of these looks at how the threat of
“decertification” by a venture capitalist, i.e. the
possibility of its non-participation in a follow-up
financing round, may affect the market. The proposed
model suggests that (in equilibrium), the implications
ripple beyond follow-on valuations and feed back to
first-round valuations, the choice of venture
capitalists by the entrepreneur, the syndication
decision of the venture capitalists, and even the
choice of syndication partner. A large scale empirical
analysis of venture capital investments finds support
for strategic decertification in the data. The second
essay on venture capital addresses the disconnect
between academics and entrepreneurs on the touchy
topic of the value delivered to entrepreneurs by
venture capitalists. A survey of experienced
entrepreneurs documents several areas of
disagreement between entrepreneurs and academic
theory on the value added by venture capital, some of
the sources of these mismatches are identified; the
data is subjected to a battery of statistical tests which
confirm that the responses substantially represent the
views of experienced entrepreneurs. After serving as
President
of
EDHEC
Risk
Indices
and
Benchmarks–North America, Dr Vaidyanathan is
currently exploring new ventures that would offer
solutions to practitioners based on advances from
EDHEC-Risk Institute and other research institutions.
In his first essay, Kelvin Foo Chiah Shiung looked at
international volatility transmission. He tested the
contention that revenue exposure to foreign markets
was a mechanism by which volatility from foreign
equity markets was transmitted to S&P500 stocks.
The paper finds evidence of significant volatility
transmission that is robust to model specification,
common latent factors to primary and US markets,
and within a portfolio context. These findings are
particularly relevant for diversification of US equity
portfolios and volatility trading. Dr Foo’s second paper
centred on improving corporate default predictions by
incorporating liquidity and macroeconomic variables,
in addition to traditional firm-level variables, in a
canonical discriminant analysis. An optimal set of
variables was obtained which allowed for accurate
out-of-sample discrimination of defaulting and
non-defaulting firms. Further improvements were
achieved by industry segmentation prior to calibration.
The paper documented low default predictability in
segments with diversified businesses, implicit or
explicit government sponsorship, and in the
technology sector. Dr Foo has been Senior Risk
Manager for Global Private Banking and Wealth
Management at Standard Chartered Bank in
Singapore since 2010.
Kaipichit Ruengsrichaiya studied theoretical aspects
of corporate governance at the microeconomic and
macroeconomic levels. His first essay considers the
corporate governance mechanism in the context of
dynamic agency problems and focuses on the optimal
contract between manager and investor. It shows the
value of governance mechanisms in security price as a
separate contribution from operational profit and
executive compensation. It demonstrates how
investors benefit from better governance changes
over time, depending on the firm’s stage. This
perspective brings new light to the conflicting
empirical evidence on the effect of corporate
governance on security prices. Dr Ruengsrichaiya’s
second essay looks at how the co-existence of
stealing and empire-building decisions, as illegal and
legal investor expropriations, affect macroeconomic
performance. In equilibrium, the consequences of
stealing and empire-building jointly determine the
weighted productivity of capital after private benefits,
which dictates investment and asset prices. The essay
looks at the impact of governance changes on these
variables and the risk-free rate, the risk premium, and
the dividend payout ratio. Unlike the other graduates
of the programme, Dr Ruengsrichaiya is aiming for a
career as a professor and is actively scouting the
academic job market. His papers have recently been
presented at the Royal Economic Society Annual
Conference held at the University of Cambridge, the
Thailand Economic Conference, the Fourth World
Congress of the Game Theory Society, and the
Forty-fourth Annual Money Macro and Finance
Conference held at Trinity College, Dublin.
To celebrate these achievements, the first graduation
ceremony for the EDHEC-Risk Institute PhD in Finance
programme will be held on 2 October at the EDHEC
Business
School’s
London
premises.
The
commencement speech will be delivered by Mr Lars
Rohde, current Chief Executive of the EUR100bn
Danish public pension fund ATP and incoming
Governor of Danmarks Nationalbank, the country's
central bank. Programme participants and selected
guests will be invited to join in the celebrations.
Newsletter PhD in Finance June / August 2012 - 3 -
Core Programme
Faculty Strengtened
We are delighted to report the hiring of Professor
Jakša Cvitanić as full-time faculty member.
Professor Cvitanić, who has been associated with the
EDHEC-Risk Institute PhD in Finance programme
since inception, is joining from the California Institute
of Technology, where he was Professor of
Mathematical Finance in the division of the
Humanities and Social Sciences. Prior to joining
Caltech in 2005, he held positions as Professor of
Mathematics and Economics and Associate Chair in
the Department of Mathematics at the University of
Southern California and Associate Professor of
Statistics at Columbia University.
Jakša Cvitanić
MSc in Mathematics
(Zagreb)
MPhil and PhD in Statistics
(Columbia)
EDHEC-Risk Institute,
Member
EDHEC Business School,
Professor of Finance
Specialist in stochastic methods applied to
dynamic asset allocation, valuation, financial
strategy and optimal contracts
Jakša Cvitanić joined EDHEC Business School
as Professor of Finance in September 2012. He
was previously Professor of Mathematical
Finance at the California Institute of Technology
and has also held positions as Professor of
Mathematics and Economics at the University
of Southern California and Associate Professor
of Statistics at Columbia University. His research
work focuses on the application of stochastic
methods to a wide variety of market and
corporate finance issues. He has published in
leading journals, including Journal of Economic
Theory, Journal of Financial Economics, Journal
of Mathematical Economics, Management
Science, and Review of Financial Studies, and
has received numerous research grants. He
currently serves as co-editor for Finance and
Stochastics and Mathematics and Financial
Economics, and as associate editor for several
other journals, including Annals of Finance and
Mathematical Finance.
His main research interests are in mathematical
finance, contract theory, stochastic control theory,
and stochastic differential equations. He is the
co-author of close to fifty articles published in
scholarly finance, economics and mathematics
journals. He is also the co-author of two textbooks:
Contract Theory in Continuous Time Models (2011,
Springer Finance, co-authored with Jianfeng Zhang)
and Introduction to the Economics and Mathematics
of Financial Markets (2004, The MIT Press,
co-authored with Fernando Zapatero).
The research projects to which he has contributed as
principal investigator or co-principal investigator
have received over 1.5 million dollars of funding.
Professor Cvitanić holds a BSc and an MSc in
Mathematics from the University of Zagreb and a
MPhil and a PhD in Statistics from Columbia
University.
Recent Academic Articles
Dynamics of Contract Design with
Screening. Cvitanić, Jakša; Wan, Xuhu; Wang,
Huali. Forthcoming in Management Science.
Laws of Large Numbers for Self-Inciting
Correlated Defaults. Cvitanić, Jakša; Ma, Jin ;
Zhang, Jianfeng. Stochastic Processes and
Applications. August 2012. Volume 122, Issue
8, p2781-2810.
Financial Markets Equilibrium with
Heterogeneous Agents. Cvitanić, Jakša;
Jouini, Elyès; Malamud, Semyon; Napp, Clotilde.
Review of Finance. 2012. Volume 16, Issue 1,
p285-321.
Co-development Ventures: Optimal Time of
Entry and Profit-Sharing. Cvitanić, Jakša;
Radas, Sonja; Šikić, Hrvoje. Journal of Economic
Dynamics & Control. October 2011. Volume 35,
Issue 10, p1710-1730.
Price Impact and Portfolio Impact. Cvitanić,
Jaksa; Malamud, Semyon. Journal of Financial
Economics. April 2011. Volume 100, Issue 1,
p201-225.
Relative Extinction of Heterogeneous
Agents. Cvitanić, Jakša and Malamud, Semyon.
B. E. Journal of Theoretical Economics. 2010.
Volume 10, Issue 1, Article 4.
Beliefs regarding fundamental value and
optimal investing. Cornell, Bradford; Cvitanić,
Jakša; Goukasian, Levon. Annals of Finance.
January 2010. Volume 6, Issue 1, p83-105.
Newsletter PhD in Finance June / August 2012 - 4 -
Faculty and student interviews
FACULTY INTERVIEW: Tim Bollerslev
Tim Bollerslev, Juanita and Clifton
Kreps Professor of Economics in
the Department of Economics and
Professor of Finance at the Fuqua
School of Business, Duke
University, and Affiliate Faculty,
PhD in Finance programme,
EDHEC-Risk Institute
Professor Bollerslev is best known for generalising the
autoregressive conditional heteroscedasticity (ARCH)
approach put forward by his PhD supervisor Robert
Engle. When it bestowed the 2003 Nobel Prize in
Economic Sciences on Professor Engle, the Royal
Swedish Academy of Sciences described Professor
Bollerslev’s GARCH model (1986) as “the model most
often applied today.“ The GARCH model relates the
variance of a model in the current period to the
previous periods’ error terms and variances; as such, it
makes it possible to recognise and model the
time-varying nature of risk, a fact of financial time
series.
What have you been doing in terms of research
since you advanced the GARCH model?
Much of my research over the years has had to do
with financial market volatility and how it changes
over time, including the development of new and
better statistical models explicitly designed to
improve upon some of the deficiencies of the GARCH
model. Volatility and risk are central to finance, and
any empirical investigation, from asset allocation to
risk management to option pricing that falsely
assumes constant volatility runs the risk, no pun
intended, of missing the most important effects that
we see in the data. I have tried repeatedly to hammer
on this point in many of my research papers.
Another research strand of mine has focused on the
analysis of high-frequency intraday financial data. In
the last ten years or so, intraday transactions data has
started to become available for a host of different
markets. Working at this level gives you the
opportunity to look at what really happens and how
prices change in response to new information. It’s like
getting out a microscope and zooming in. For
instance, studying the high-frequency impact of
macroeconomic news announcements gives you a
much better understanding of how financial markets
and the real economy are actually linked. Going back
to my interest in volatility modelling and forecasting,
high-frequency data also allows you to construct
much better volatility measurements.
Intuitively, suppose that the opening and the closing
price of an asset are the same. This zero, or flat return
day could very well mask a lot of intraday variation.
The new realised volatility measure that I have been
working on correctly identifies the true volatility and
its various components without relying on any
modelling assumptions. Related to this, I have also
been working quite a bit on trying to understand the
differences between these actual volatility measures
and the way the market prices volatility, as embedded
within option prices. It turns out that there is a lot of
interesting information about notions of risk aversion
and even return predictability sitting in that wedge.
How is the elective course you taught in the
programme related to your research?
The course reviewed twenty years of research into
volatility and correlation modelling, starting with
ARCH/GARCH models and their extensions, then
looking at higher moments, Value at Risk and extreme
value theory, discussing multivariate volatility models
and correlations as well as stochastic volatility
models, then moving to high-frequency data and
volatility modelling and realised volatilities. We
covered the most current and popular methods and a
number of their practical applications in asset and
options
pricing,
portfolio
allocation,
risk
measurement and management, as well as volatility
trading. We also touched upon a number of important
outstanding research questions.
Does the course have particular relevance in the
wake of the financial crisis?
Certainly – the recent turmoil has underscored that
risk varies over time, often widely; coming to grips
with the time-varying nature of volatility is crucial
and the tools we introduced in the classroom equip
students to do just that.
As part of the programme’s doctoral workshop
series, you presented a working paper (Stock
Return Predictability and Variance Risk Premia:
Statistical Inference and International Evidence)
that looks at information in the variance risk
premium; could you describe its key results?
Recent empirical evidence suggests that the variance
risk premium i.e., the difference between options
implied and actual realised return variation, predicts
aggregate stock market returns, with the
predictability especially strong at intermediate
quarterly horizons.
Newsletter PhD in Finance June / August 2012 - 5 -
Our paper demonstrates that statistical finite sample
biases in the overlapping return regressions
underlying these findings can not “explain” this
apparent predictability and that the inclusion of more
recent data spanning the financial crises only
strengthens the results. Further corroborating the
existing empirical evidence pertaining to the U.S., we
show that country-specific regressions for France,
Germany, Japan, Switzerland and the U.K. result in
quite similar, albeit not as significant, return
predictability patterns. Defining a “global” variance
risk premium, we uncover even stronger predictability
and almost identical cross-country patterns through
the use of panel regressions that effectively restrict
the compensation for world-wide variance risk to be
the same across countries.
Why did you choose to become an affiliate faculty
member of the programme right from inception in
2008?
Initially, I was excited by the new approach to doctoral
studies promoted by EDHEC-Risk Institute and
curious to find out how the programme would fare…
When the reception proved to be impressive, I was
looking forward to teaching in the programme. Other
contributing factors were the opportunity to come
back to Europe from time to time – I am Danish – and
of course the chance to talk to René Garcia, whom I
have known and met regularly for some fifteen years.
When René was in Montreal, he was at the centre of a
vibrant community of researchers in our field, which
explains why I would often travel to Quebec back
then.
How would you describe your experience teaching
in the programme to date?
I was a bit concerned for the students at first because
this course is typically taught over a semester and
giving it in an intensive mode makes it more
challenging: as things build up and the material is
quite technical, it is easy to fall behind. The students
who took this course in Europe and Asia were very
engaged and, I think, rose to the challenge. I have met
very interesting groups and I enjoyed teaching to
EDHEC PhD students very much. I also enjoyed
contributing to the dissertation committee of one of
the first programme graduates.
Are these students different from those you are
used to?
At Duke, I teach in both executive education and
doctoral programmes. Here the students are a nice
mix of the two as they had both a great academic
interest in finance and real experience from the field –
this is perfect for me since I strive to do academic
research that is in sync with the industry.
What advice would you give to PhD students?
This is probably going to sound lame but students
should pursue research they like as opposed to
researching something that sells: go where you heart
is, do not be too strategic – it should be fun!
STUDENT INTERVIEW: Mohan Subbiah
Mohan Subbiah, British, 42
Chief Executive Officer
HL Asset Management (Singapore)
Could you tell us about your background academically and professionally?
I have been a fund manager for over twenty years. I
began my career as a long-only trainee fund manager
at Hill Samuel Investment Management, now part of
Lloyds Banking Group. I spent most of my career in
London, with a period in the 1990s working for Abu
Dhabi Investment Authority. I have been in equity
long-short fund management for about 10 years now.
I have been a hedge fund manager with BGI and prior
to joining the Hong Leong Group to be the Chief
Executive Officer for their hedge fund business, I was
head of the Strategic Quantitative Investment
Division, i.e. a proprietary trading desk, at UBS in
London. Throughout the entire 20 years, I have always
been a quantitative fund manager and therefore, very
research and systems orientated. Although I am now
the CEO, I am very much involved in developing the
strategies with our researchers. My first degree was
a Bachelors of Science in Mathematics and Computer
Science I earned at the University of Birmingham,
followed by an MBA from London Business School
(LBS).
So it seems that you are doing well and I assume
you are also a CFA charter holder…
Yes, I became a CFA charter holder many years ago.
And in fact, I have been involved with the CFA
Institute’s Council of Examiners as an exam question
Newsletter PhD in Finance June / August 2012 - 6 -
writer since 2001.
Why would you need a PhD?
A lot of the people that I have worked with or that I
have employed had PhDs and rigorous academic
training. I have always had those people around me
and have learnt a lot from them without actually ever
going through such training myself. When I was
younger and more junior, learning through osmosis
was acceptable. Now, I am the CEO and I believe in
leading by example, I feel that if the people who
report to me have all this rigorous training, it is not
appropriate that I should not have it.
Another reason for me wanting to do a PHD is the
difficulties experienced in the financial world over the
last three or four years. We do not know where the
industry will be going from here, but it has certainly
been shrinking for the last few years. I have done
reasonably well in this industry for many years but the
time will come one day where I have to start thinking
about doing something else and this something else
may be in academia. I am not necessarily suggesting
going full-time in traditional academia – I would be a
late starter – but maybe doing something that would
bridge theory and practice, perhaps building on my
work with the CFA Institute over the many years or
something along those lines, where the intellectual
background developed through the programme may
give me a head start.
The final reason, and perhaps the most motivating, is
that the course is, quite simply, extremely interesting.
Learning new material and getting exposure to very
clever people brings out the best in us. The course
provides a structured environment to continually
learn and improve, both as an individual and
professionally for the benefit of our clients.
Why this particular programme of all the options?
I am still reasonably successful and continuing in my
current career. Taking three full years out from the
workplace would be very difficult, both from a
financial perspective and from a career progression
perspective, so the idea of a part-time programme
makes sense. The format of the EDHEC-Risk Institute
PhD in Finance clearly stands out head and shoulders
above everything else available in part time format. As
a matter of fact, I had been searching for such a
course for years but had never found a reputable
institution until EDHEC appeared in my research.
Another factor was that I was familiar with some of
the core faculty members: as it happens, Pierre
Mella-Barral and Raman Uppal, now at EDHEC,
taught me at LBS. While I had heard of EDHEC for
many years, I did not know that much about the
institution to be honest. To have Pierre and Raman in
the core faculty added a lot of credibility as far as I am
concerned since they had stature at LBS and I had
gained a lot from the MBA programme there. I knew
they could not have moved to EDHEC if there were no
other good people there. Given these two are leaders
in their field, I made a guess that other EDHEC faculty
would also be leaders in their respective fields, since
joining the course I am pleased to find that my
instinct was correct.
What has been your experience so far in the
programme?
My experience is certainly positive even after just the
first couple of weeks. Although I have been in the
industry for twenty years, there were some elements
of the first courses that I was familiar with as a
practitioner but had not related to the underlying
academic theory. I can draw on some of these to
improve communication with our clients explaining
not necessarily just what we do and the high level
rationale, but why we do from first principles if
necessary.
I look forward to the electives as I trust they will not
only increase my knowledge, but also be very relevant
to potentially what I can use professionally for our
clients’ benefit. Learning new material and being able
to apply that in the ‘real world’ is obviously something
I am excited about.
Do you know what you want to work on?
Not precisely. I expect to have a clearer view by the
end of the year. Seeing new material will trigger new
ideas. My background is in equity and asset allocation,
so I imagine something along those lines although I
am also attracted to the continuous time series
courses. One interesting aspect is that I have a lot of
data and I am used to doing empirical work so I can
actually turn some of my academic work into actual
products.
What is your recommendation to people who may
be contemplating the programme?
The number one thing is to ensure that one can
allocate sufficient time to the programme, because
there is really a lot of work to be done independently,
and outside of the block weeks. That said, I would like
to underline that they are many positive things that
one can take away from this course, right from the
first week, which one can apply at work.
Newsletter PhD in Finance June / August 2012 - 7 -
Programme and faculty news
Recent and forthcoming articles by faculty
Below is a selection of articles published by
programme faculty members over the last quarter as
well as forthcoming publications. Appearing are
articles in scientific journals co-authored by faculty
members publishing under their EDHEC Business
School or EDHEC-Risk Institute affiliations.
Nonparametric Nonstationarity Tests. Bandi,
Federico and Corradi, Valentina. Forthcoming in
Econometric Theory.
Time-varying Leverage Effects. Bandi, Federico and
Renò, Roberto. Journal of Econometrics. July 2012.
Volume 169, Issue 1, p94-113.
Price, Wage and Employment Response to Shocks:
Evidence from the WDN Survey. Bertola, Giuseppe;
Dabusinskas, Aurelijus; Hoeberichts, Marco; Izquierdo,
Mario; Kwapil, Claudia; Montornes, Jeremi; Radowski,
Daniel. Forthcoming in Labor Economics.
Dynamics of Contract Design with Screening.
Cvitanić, Jakša;
Wan, Xuhu; Wang, Huali.
Forthcoming in Management Science.
Higher-Order Durations with Respect to Inflation
and Real Rates and Their Portfolio Management
Applications. Fabozzi, Frank and Wu, Yuewu, Journal
of Fixed Income. Spring 2012. Volume 21, Issue 4,
p69-79.
A Pricing Framework for Real Estate Derivatives.
Fabozzi, Frank; Shiller, Robert; Tunaru, Radu.
Forthcoming in European Financial Management.
CVaR Sensitivity With Respect To Tail Thickness.
Stoyanov, Stoyan; Rachev, Svetlozar; Fabozzi, Frank.
Forthcoming in Journal of Banking and Finance.
Optimal Corporate Strategy Under Uncertainty.
Chen, Andrew; Fabozzi, Frank; Huang, Dashan.
Forthcoming in Applied Economics.
Portfolio Revision under Mean-Variance and
Mean-CVaR with Transaction Costs. Chen, Andrew;
Fabozzi, Frank; Huang, Dashan. Forthcoming in
Review of Quantitative Finance and Accounting.
Sensitivity of Portfolio VaR and CVaR to Portfolio
Return Characteristics. Stoyanov, Stoyan; Rachev,
Svetlozar; Fabozzi, Frank. Forthcoming in Annals of
Operations Research.
Bond Liquidity Premia. Fontaine, Jean-Sébastien
and Garcia, René. Review of Financial Studies. April
2012. Volume 25, Issue 4, p1207-1254.
Measuring High-Frequency Causality Between
Returns, Realized Volatility, and Implied Volatility.
Dufour, Jean-Marie; Garcia, René and Taamouti,
Abderrahim. Journal of Financial Econometrics.
Winter 2012. Volume 10, Issue 1, p124-163.
Assessing Misspecified Asset Pricing Models with
Empirical Likelihood Estimators. Almeida, Caio and
Garcia, René. Forthcoming in the Journal of
Econometrics.
Risk Aversion, Intertemporal Substitution and the
Term Structure of Interest Rates. Garcia, René; Luger,
Richard. Forthcoming in the Journal of Applied
Econometrics.
Measuring Local Individual Housing Returns from a
Large Transaction Database, Gregoir, Stéphane;
Hutin, Mathieu; Maury, Tristan-Pierre; Prandi,
Geneviève; Annals of Economics and Statistics.
July/December 2012. Number 107/108
Opening the Black Box: Internal Capital Markets and
Managerial Power. Glaser, Markus; López-de-Silanes,
Florencio; Sautner, Zacharias. Forthcoming in Journal
of Finance.
Diversifying the Diversifiers and Tracking the
Tracking Error: Outperforming Cap-Weighted Indices
with Limited Risk of Underperformance. Amenc, Noël;
Goltz, Felix; Ashish, Lodh; Martellini, Lionel. Journal
of Portfolio Management. Spring 2012. Volume 38,
Issue 3, p72-88.
Environmental Corporate Social Responsibility and
Corporate Financial Performance: Disentangling
Direct and Indirect Effects. Lioui, Abraham and
Sharma, Zenu. Ecological Economics. June 2012.
Volume 78, p100-111.
Dynamic Allocation Decisions in the Presence of
Funding Ratio Constraints. Martellini, Lionel and
Milhau, Vincent. Journal of Pension Economics and
Finance. August 2012. p1-32.
Improving Portfolio Selection Using Option-Implied
Volatility and Skewness. DeMiguel, Victor; Plyakha,
Yuliya; Uppal, Raman; Vilkov, Grigory. Forthcoming in
Journal of Financial and Quantitative Analysis.
Newsletter PhD in Finance June / August 2012 - 8 -
Recent and forthcoming presentations – a
selection
EDHEC-PRINCETON Institutional Money Management
Conference
The inaugural EDHEC-PRINCETON Institutional Money
Management Conference was held on April 27, 2012,
at the Princeton Club in New York. In the face of a
number of key changes of paradigms affecting the
investment industry, the event was intended to
provide selected investment professionals with the
latest academic insights related to institutional
money management. The format of the conference
was designed to facilitate the exchanges of views
between academics and practitioners; it involved
presentations by members of the faculty of Princeton
University and EDHEC-Risk Institute, followed by a
discussion with the audience.
In delivering the introductory comments, Scientific
Director of EDHEC-Risk Institute Professor Lionel
Martellini stressed the importance of shifting from
the provision of investment products and towards the
provision of investment solutions. The philosophy of
EDHEC-Risk Institute is that the focus of the
investment industry should not be on generating
investment products based on alpha, but on serving
investors’ needs by helping them find solutions to the
problems they face, more often than not through
access to beta. In this context, the conference focused
in the morning on the design of improved building
blocks for some popular asset classes and in the
afternoon on the design of improved asset allocation
strategies.
Fixed-income specialist Frank Fabozzi, Professor of Finance at EDHEC
Business School discussed research directions in bond indices
In the first presentation of the day, Professor Raman
Uppal of EDHEC-Risk Institute presented his research
on developing a general framework for equity
portfolio construction while showing how to calibrate
norm-constrained portfolios and comparing their
performance with different strategies and datasets.
Turning to fixed-income markets, Professor Frank
Fabozzi of EDHEC-Risk Institute looked in the
following presentation at four research areas dealing
with bond indices: investor duration target and
stability of bond indices in relation to investor
objectives; the concentration risk problem in bond
indices; the stability issue for the average credit
riskiness of a bond index and developing a useful
measure of credit riskiness for index construction; and
liquidity issues in bond index construction. In the last
morning presentation, Professor John Mulvey of
Princeton University examined the question of
long-only and long-short commodity investments in
an asset allocation context, and more specifically the
role of managed futures and commodity funds and
how to protect wealth during turbulent periods.
Professor Mulvey discussed the advantages of highly
liquid investments – such as in the managed futures
domain – for protecting capital and for dynamic asset
allocation.
In the opening session of the afternoon, Professor
Martellini analysed the challenge of long-term
investing with short-term constraints, a question that
EDHEC-Risk Institute has closely examined in recent
years, notably within the “Asset-Liability Management
and Institutional Investment Management” research
chair supported by BNP Paribas Investment Partners.
The Institute underlines that new forms of investment
solutions should rely on the use of improved
performance-seeking
and
liability-hedging
building-block portfolios, as well as on the use of
improved dynamic allocation strategies that explicitly
take short-term risk budgets as inputs. It is only by
putting the pieces of the puzzle together, and by
combining the underlying sources of expertise and
added value that the asset management industry will
satisfactorily address investors' needs.
Professor René Garcia of EDHEC-Risk Institute then
looked at asset allocation decisions in the presence of
regime switches. His research results show that
regime-switching models are able to characterise well
the joint distribution of financial asset returns and
that the presence of regimes to capture the
distribution of asset returns has important
consequences for asset allocation. Effects vary
according to the regime and the investment horizon.
The share invested in stocks may decrease with the
horizon contrary to a linear model with predictability
and mean reversion. Predictability changes asset
Newsletter PhD in Finance June / August 2012 - 9 -
allocation even with regimes, especially at long
horizons.
PhD in Finance affiliate faculty member Yacine Aït-Sahalia, Director of
the Bendheim Centre for Finance and Otto Hack 1903 Professor of
Finance and Economics at Princeton University, made a case for the use
of self-exciting jumps in portfolio and risk management
Professor Jakub Jurek of Princeton University
addressed the question of downside risk and
alternative investments. His three key conclusions
were that hedge fund returns exhibit downside risk
exposure, passive downside risk exposure dominates
active risk exposure, and endowments have barely
covered their cost of capital. In other words, hurdle
rates for investments with downside risk are
significantly higher than suggested by linear models
and are highly sensitive to portfolio composition and
market volatility.
Finally, EDHEC-Risk Institute PhD in Finance affiliate
faculty member Professor Yacine Aït-Sahalia, of
Princeton University, gave a presentation on asset
allocation and risk management in a world where all
asset classes can fail together. His conclusion was
that jumps are needed to properly account for the risk
in portfolio management, but that among jumps, one
cannot stick to the simplest ones (Poisson) –
self-exciting jumps are needed to provide a realistic
description of turbulent times and consequently
optimise a portfolio and conduct risk management.
[More]
EDHEC-Risk Days Asia
EDHEC-Risk Institute Professors Ekkehart Boehmer,
René Garcia, Florencio López-de-Silanes and
Raman Uppal discussed their recent work on
high-frequency trading, hedge fund modelling,
private equity performance, and equity portfolio
construction at the inaugural EDHEC-Risk Days Asia
conference that was held in Singapore May 9-10 and
drew over 800 participants.
Professor Boehmer had just presented his work and
participated in discussions at the European Systemic
Risk Board/European Securities and Markets Authority
workshop on high-frequency trading held at the
European Central Bank (Frankfurt, Germany, 26 April).
Professor Garcia will be discussing the implications of
his non-parametric hedge fund model on
performance evaluation and asset allocation at the
Inquire UK Autumn workshop (Bath, United Kingdom,
30 September-2 October).
Annual Conference of the Society of Financial
Econometrics
Professor René Garcia delivered an invited lecture
titled “Robust Economic Implications of Nonlinear
Pricing Kernels” at the fifth annual conference of the
Society of Financial Econometrics (Oxford, United
Kingdom, 20-22 June). Affiliate faculty members
Mikhail Chernov and Francis Diebold were also on
the programme: Professor Chernov presented his
work titled “Sources of Risk in Currency Returns”
while Professor Diebold, as current president of the
society, acted as chair for the opening invited lecture.
Nobel Laureate and former president of the society
Robert Engle presented work titled “Dynamic
Conditional Beta.”
NBER Summer Institute
Florencio López-de-Silanes, Professor of Finance
and Law at EDHEC Business School, and Head of the
Fund Governance Research Programme at
EDHEC-Risk Institute, contributed to the 34th Annual
Summer Institute of the US National Bureau of
Economic Research Summer (Cambridge, United
States, July 2012), where he presented his
much-reported upon paper, "Letter Grading
Government Efficiency", co-authored with University
of Ottawa’s Alberto Chong, Dartmouth College’s
Rafael La Porta and Harvard University’s Andrei
Shleifer. The paper proposes one objective indicator of
government efficiency, and uses it to shed light on
two broad theories of the quality of government. The
indicator describes the performance of the mail
system in accomplishing a simple task: returning an
incorrectly addressed international letter. Professor
López -de-Silanes has also been invited to deliver the
keynote speech at the Conference on European
Economic Integration organised by the Bank of
Finland and the Austrian Central Bank (to be held in
Helsinki on November 26-27, 2012.)
Newsletter PhD in Finance June / August 2012 - 10 -
EDHEC-Risk Institute News
A selection of recent EDHEC-Risk Institute
publications
• “Robust Assessment of Hedge Fund Performance
through Nonparametric Discounting”,
An EDHEC-Risk Institute
Publication
This research was produced as part of the
"Advanced Modelling for Alternative Investments"
research chair at EDHEC-Risk Institute, sponsored
by Newedge Prime Brokerage.
• “EDHEC-Risk North American Index Survey
2011”,
Hedge
Robust Assessment ofrmance
Fund Perfo
through Nonparametricg
Discountin
An EDHEC-Risk Institute
Publication
American
EDHEC-Risk North vey 2011
Index Sur
June 2012
April 2012
with the support of
Institute
Institute
Almeida, Caio and Garcia, René, EDHEC-Risk Institute,
June 2012, 80 pages.
This paper evaluates the performance of hedge funds
through a new nonlinear risk adjustment of returns.
The risk adjustment is such that it prices exactly the
usual set of risk factors considered in the hedge fund
literature. This nonlinear risk adjustment goes beyond
the usual linear regression methodology used in many
hedge fund performance papers, including nonlinear
exposures based on option-like features. The
approach proposed in this paper overcomes two
important limitations of the linear methodology: it
captures the nonlinear exposure of a hedge fund
strategy to several risk factors, and it is not limited to
nonlinear shapes resembling standard option payoff
patterns. This methodology is applied to various
hedge fund indices as well as to individual hedge
funds, considering a set of risk factors including
equities, bonds, credit, currencies and commodities.
The main message that emerges from the analysis on
the performance of hedge fund strategies is that
exposure to higher-moment risks on the various
factors matters. Analysing the performance of HFRI
indices on primary strategies and sub-classes of
primary strategies, the paper reports sizeable
differences in performance, between the linear and
the nonlinear risk adjustment. Most often the
nonlinear risk adjustment reduces the performance
but for some sub-classes it enhances their
performance. It also shows how to conduct a risk
analysis and provides an example where a change in a
single risk factor can affect the average performance
of funds when more robust risk adjustment is applied.
[Download]
Amenc, Noël; Goltz, Felix; Tang, Lin*; Vaidyanathan,
Vijay*, April 2012, 156 pages.
As the choice of an index is a crucial step in both asset
allocation and performance measurement, it is useful
to investigate index use and perceptions about
indices. The present survey aims to analyse the
current uses of and opinions on stock, bond and
equity volatility indices. While information on index
vehicles is widely available, particularly in the case of
exchange-traded vehicles, the objective of the survey
is to provide unique insight into the users’ perspective
in the index industry, not only including a description
of the current practices, but also user perceptions on
different indices and on benefits and drawbacks of
index construction methodologies. Furthermore, there
is a growing body of research on index construction
and index use. Recent studies assess current indices
and also propose alternative approaches to construct
indices. This survey also serves as a tool to explore
views of institutional index users on the conclusions
of the literature in financial research.
The survey elicited responses from 139 North
American investment professionals. Overall, the
respondents represent approximately $12 trillion
worth of assets under management. This, in turn,
represents around one third of all assets under
management in the North American asset
management industry. [More]
Newsletter PhD in Finance June / August 2012 - 11 -
“The Benefits of Volatility Derivatives in Equity
Portfolio Management”,
•
An EDHEC-Risk Institute
Publication
tility
The Benefits of Volatfolio
Por
Derivatives in Equitynagement
Ma
• “EDHEC-Risk Asian Index Survey 2011”, Amenc,
Noël; Goltz, Felix; Mukai, Masayoshi; Narasimhan,
Padmanaban; Tang, Lin, EDHEC-Risk Institute, May
2012, pages. [Download]
May 2012
* At the time of publication, Renata Guobuzaite,
Samuel Sender, Lin Tang and Vijay Vaidyanathan were
EDHEC-Risk Institute PhD in Finance candidates.
with the support of
Institute
Guobuzaite, Renata* and Martellini, Lionel, May
2012, 76 pages.
The focus of this publication is to provide a formal
analysis of the benefits of volatility derivatives in
equity portfolio management from the perspective of
a European investor. Its main contribution is to
compare the risk/return characteristic of equity
portfolios combined with long volatility exposure to
those of a global minimum variance equity portfolio –
the conventional approach to managing equity
volatility. This paper is in fact the first to provide an
explicit comparison of managed volatility strategies
based on a global minimum variance portfolios and
managed volatility strategies based on volatility
derivatives. The results unambiguously suggest that
the latter approach is a more efficient way to manage
equity volatility, especially in market downturns
periods. [Download]
This research was produced as part of "The
Benefits of Volatility Derivatives in Equity
Portfolio Management" strategic research project
at EDHEC-Risk Institute, in partnership with
Eurex.
EDHEC-Risk Days go tri-continental
In 2004, EDHEC-Risk Institute introduced a new type
of conference aiming to bring research insights drawn
from its programmes to investment professionals.
Since inception, these events have enabled close to
11,000 participants from over fifty countries to have
access to the latest conceptual advances and research
results in investment and risk management and to
discuss their implications and applications with the
Institute’s researchers.
The EDHEC-Risk Days allow research results to be
compared with the practices and needs of investment
professionals. Owing to the Institute’s independence
and academic orientation, a conference format that
leaves time for both instruction and discussion, and a
highly selective speaker panel, the EDHEC-Risk Days
have become reference events for investment
professionals who are concerned about learning
about conceptual advances and maintaining best
practices.
In 2013, the EDHEC-Risk Days Conferences will be
taking place for the first time on three continents. The
longest-running conference in the series, the
EDHEC-Risk Days Europe, will be held 26-27 March at
Recent publications also include:
• “Reactions to the EDHEC Study ‘Optimal Design of
Corporate Market Debt Programmes in the Presence
of Interest-Rate and Inflation Risks’”, Amenc, Noël;
Goltz, Felix; Milhau, Vincent; Mukai, Masayoshi,
EDHEC-Risk Institute, May 2012, 40 pages.
[Download]
• "Who Sank the Boat?" Response to the Finance
Watch paper ‘Investing Not Betting’", Till, Hilary,
EDHEC-Risk Institute Position Paper, June 2012, 40
pages. [Download]
EDHEC Business School Professor Raman Uppal contributing to a
roundtable on financial market regulation along with Axa Rosenberg Pan
Asia Chief Investment Officer Mr Kevin Chen, IMF-Singapore Regional
Training Institute Director Dr Sunil Sharma, Schroder Investment
Management Chief Executive Officer Asia Pacific and Investment
Management Association of Singapore Chairman Mr Lester Gray, and
Government of Singapore Investment Corporation Chief Economist and
Director of Economic and Investment Strategy Dr Leslie Teo
Newsletter PhD in Finance June / August 2012 - 12 -
The Brewery, its time-tested location in the heart of
the City of London; the second edition of the
EDHEC-Risk Days Asia will take place on 15 and 16
May at The Ritz Carlton, Millenia in Singapore; finally,
the inaugural edition of the EDHEC-Risk Days North
America will be held 8-9 October at the Crowne Plaza
Times Square Manhattan in New York City. In 2013,
this series of conferences is expected to draw over
2,000 professionals.
CFA Institute and EDHEC-Risk Institute partnership
expanded
Research work to be discussed at these events will fall
under two headings: passive investment and indexing
and global institutional investment. On the first day of
each event, advances in equity, fixed income,
commodity and volatility indices will be discussed
along with issues of index transparency and
governance and the ongoing shift from asset
allocation to risk allocation. On the second day, new
perspectives on the theory of asset-liability
management, liability and inflation hedging, the
reform of pension schemes, and non-financial risks
in fund management will be presented, and
EDHEC-Risk Institute researchers will discuss their
most recent research on investment and risk
management in traditional, alternative and
emerging asset classes.
In the next calendar year, the flagship Advances in
Asset Allocation seminar will be offered twice in
London (on 4-6 December 2012 and 4-6 June 2013)
and once in New York (on 16-18 July 2013).
Established in 2008 and regularly updated to
incorporate the latest research by EDHEC-Risk
Institute, this seminar has trained hundreds of senior
investment officers to the concepts and techniques
needed to optimise asset allocation and risk
management via diversification, hedging, and
insurance. Designed and delivered by EDHEC-Risk
Institute Scientific Director and EDHEC Business
School Professor Lionel Martellini, this popular
three-day course is intended for investment
management professionals who advise on or
participate in the design and implementation of asset
allocation policies and portfolio models and for
sell-side practitioners who develop new asset
management and asset-liability management
solutions for investors.
Organised as part of the EDHEC-Risk Days in each of
the three regions, the PhD forum will be an
opportunity for a selection of second and final year
PhD candidates to present their dissertation work to
attendees from the institutional investor and fund
manager communities.
As in the past, all PhD in Finance students and
alumni will be invited to attend the EDHEC-Risk
Days on a complimentary basis.
EDHEC-Risk Institute Scientific Director Professor Lionel Martellini will
deliver the popular CFA-Institute/EDHEC-Risk Institute Advances in
Asset Allocation seminar three times next year
In an effort to better serve the investment
management community, CFA Institute and
EDHEC-Risk Institute have reinforced their
executive education partnership to offer advanced
investment management programmes in London,
New York and Singapore.
For the first time, the joint course offering will also
include the Advances in Equity Portfolio Construction
seminar, a course introduced by the Institute in 2012
and featuring EDHEC Business School Professor
Raman Uppal and EDHEC-Risk Institute Head of
Applied Research Doctor Felix Goltz. The seminar aims
to provide investment practitioners with the tools to
better understand the limits and benefits of different
portfolio construction approaches, and to discuss
portfolio construction strategies as applied in equity
portfolio management and alternative indexing
strategies. The two-day programme is intended for
finance practitioners who contribute to the design
and implementation of portfolio construction models
and is also insightful for investment professionals
who analyse or decide on the adoption of appropriate
model portfolios or benchmarks for equity
investments or who are interested in customising
their strategic equity benchmark. Initially, the course
will be offered in Singapore (on 20-21 November
2012) and London (12-13 February 2013).
Newsletter PhD in Finance June / August 2012 - 13 -
International advisory board welcomes four new
members
EDHEC-Risk Institute is pleased to welcome to its
international advisory board four representatives of
major end-investors from Asia, Europe and
North-America. Newly appointed to the board are Dr
Timo Löyttyniemi, Managing Director of Finland’s
pension reserve fund (Valtion Eläkerahaston, VER); Mr
Olivier Rousseau, Executive Director of France’s
pension reserve fund (Fonds de Réserve pour les
Retraites, FRR); Dr Joseph Masri, Head of Risk
Management at Qatar Investment Authority (QIA), the
country’s sovereign wealth fund; and Mr Joseph John
Jelincic, Member of the Board of the California Public
Employees' Retirement System (CalPERS).
Dr Löyttyniemi heads the EUR14bn State Pension
Fund, a buffer fund managing pension assets for
Finland’s state employees. Before joining the fund in
2003, he acted in various positions in investment
management and investment banking, including Head
of Capital Markets for Mandatum & Co (now part of
the Danske Bank group) and Managing Director for
listed investment company Norvestia Plc. He is a
member of the Finnish Pension Alliance investment
committee, sits on the management board of various
financial institutions and foundations, and
contributes to various working groups; he recently
authored a report on the future of state ownership.
He holds has a Ph.D. in Economics from the Helsinki
School of Economics.
Mr Rousseau is the executive director and one of the
three members of the executive board of France’s
EUR35bn pension reserve fund. Over the last
twenty-five years, he has managed a dual career,
working as a civil servant and in banking in equal
proportions. He started his civil servant career as
deputy head of division (balance of payments, foreign
exchange markets & regulation) within the French
Treasury in Paris and his banking career as a portfolio
manager for BNP in Tokyo. He has been the Alternate
Director for France at the European Bank for
Reconstruction and Development in London and
a Senior Adviser to the head of the international
department of the French Treasury. He has also been
the Managing Director of BNP Paribas Equities
Australia, the Chairman of the management
committee and the Group Risk Manager for BNP
Prime Peregrine Group (Singapore and Hong Kong),
and the deputy general manager and head of
corporate and institutional banking for the UK and
the Nordic countries at BNP London. He holds Masters
in Law and Economics from the University of
Aix-en-Provence and is a graduate of France’s Ecole
Nationale d’Administration, the country’s senior civil
service graduate school.
Dr Joseph Masri is the Head of Risk Management at
Qatar Investment Authority. As such, he is responsible
for all aspects of risk management and performance
measurement at the organisation. Prior to joining QIA,
Dr Masri was responsible for investment risk
management at the Canada Pension Plan Investment
Board. Over the course of some twenty years in the
financial industry, he has also held the position of
Global Head of Investment Risk Management at
Barclays Global Investors as well as senior risk
management
positions
at
ABN
AMRO,
JPMorganChase and UBS. He holds a PhD and a
Master’s degree in engineering economic systems
from Stanford University and an engineering degree
from École Centrale de Paris.
Mr Jelincic is an elected member of the California
Public Employees' Retirement System (CalPERS) board
of administration. CalPERS is the United States’
From right to left: Dr Timo Löyttyniemi of VER, Mr Olivier Rousseau of FRR, Dr Joseph Masri of QIA, and Mr Joseph John Jelincic of CalPERS.
Newsletter PhD in Finance June / August 2012 - 14 -
largest public pension fund, with some USD237bn of
assets under management. Its board has investment
authority and sole fiduciary responsibility for the
management of CalPERS assets. Mr Jelincic chairs the
risk and audit committee and also sits on four other
committees. He is a veteran employee of CalPERS
having worked in the global equity, fixed income and
real estate units of the pension fund’s investment
office. Over the course of his career, he helped
establish CalPERS futures programme, ran the stock
trading desk, and contributed to CalPERS corporate
governance initiatives. Mr Jelincic is also a past
President of the California State Employees
Association and past Chair of the California State
Administrative, Financial, and Staff Services
Bargaining Unit. In 2004, he was appointed to the
California Performance Review commission. He holds
a Bachelor’s degree in economics from Saint Mary’s
College, an MBA in finance from Golden Gate
University, and the Chartered Financial Analyst
designation.
EDHEC-Risk Institute’s international advisory board
brings together some forty senior representatives
from regulatory bodies, leading pension funds,
professional organisations and business partners. Its
role is to validate the relevance and goals of the
research programme proposals presented by the
Institute’s management and to evaluate research
outcomes for their potential impact on industry
practices. Board members also advise on the
objectives and contents of projects deriving from the
expertise of the Institute, thereby ensuring that
graduate and executive programmes remain at the
forefront of developments in the marketplace.
[More information]
programmes while being relevant to business and to
society at large.
As part of the conference’s opening comments Dean
Olivier Oger reported on the recent results of the
School’s research policy and underlined that the
annual EDHEC Research Day aims to illustrate some of
the outcomes of this policy through the presentation
and discussion of recent research results with
practitioners and journalists.
The morning presentations and discussions then dealt
with the unintended consequences of financial and
banking regulation. The first part of the morning saw
three EDHEC-Risk Institute PhD in Finance core
faculty members present their research results on the
question. Professor Raman Uppal spoke about the
economic consequences of imposing a tax on
financial transactions. Professor Abraham Lioui
presented an asset pricing and asset allocation
perspective on the regulatory flip-flops in the area of
short-selling.
Finally,
Professor
Florencio
López-de-Silanes discussed the lessons that could be
learned from the international record in the field of
government ownership of banks, looking at financial
and economic development, corruption, and bank
failures. The second part of the morning was
dedicated to a round table that brought together
lawmakers, senior civil servants, industry
practitioners, and EDHEC professors to discuss the
topic of how to reinforce regulation in order to ensure
improved functioning of capital markets and the
economy at large.
EDHEC Business School News
Sixth EDHEC Research Day a success
The sixth EDHEC Research Day took place on 21 June
2012 in London and drew close to 150 participants.
The unifying theme for the 2012 edition of the
conference was regulation and its consequences on
business and the economy.
For the last ten years, EDHEC Business School has
been implementing an original research policy, which
stresses the need for relevance and impact. The
research conducted by the School’s professors and
full-time researchers must not only abide by
international criteria for academic excellence, but it
must also contribute to the quality of the School’s
EDHEC-Risk Institute PhD in Finance Assistant Academic Director
for Europe Professor Abraham Lioui discussed the costs of
regulatory instability
Participating in the roundtable were EDHEC-Risk
Institute Director and EDHEC Business School
Associate Dean for Development Professor Noël
Amenc, EDHEC Business School Professors
López-de-Silanes and Uppal, Financial Services
Authority Head of Economics of Financial Regulation
Mr Peter Andrews, Member of Parliament Mr Douglas
Carswell, Her Majesty’s Treasury Head of Banking and
Newsletter PhD in Finance June / August 2012 - 15 -
Financial Sector Analysis and Deputy Director of
Financial Regulation and Markets Dr Martina Garcia,
Institute of Economic Affairs Director General Mark
Littlewood, Department of Business Innovation and
Skills Better Regulation Executive Chief Executive Dr
Graham Turnock, and HSBC Holdings Head of Global
Markets Policy Mr Ed Wells.
The first part of the afternoon saw the presentation of
the latest work and findings of researchers from the
School’s Legal Performance and Company
Competitiveness, Financial Analysis and Accounting,
and Economics research centres. Professor of Law
Christophe Roquilly led a session titled “UK Bribery
Act and the Long Arm of the Law: From Legal Risk
Management to Ethical Compliance”, Professor of
Accounting and Finance Philippe Foulquier discussed
the “Consequences of Optimising Insurance
Companies’ Financial Strategies in the Solvency
Framework”, and Associate Research Director Arnaud
Chéron
presented international comparative
evidence on the impact of the fixed-term and
permanent employment contracts on wage
inequality.
EDHEC-Risk Institute PhD in Finance core faculty
member Professor Giuseppe Bertola closed the day’s
debates with a historical perspective of social and
labour policy reactions to high public debt and an
analysis of prospects for business and finance.
Important information for
prospective applicants
Application Information
Executive track:
The next deadline for application for February 2013
admission (Asia-based programme) is 17 September
2012 and the next deadline for October 2013
admission (Europe-based programme) is 17 December
2012.
EDHEC-Risk Institute is seeking to matriculate around
fifteen new executive track participants in Asia and in
Europe.
Residential track:
The next deadline for application for October 2013
admission (Europe-based programme) or February
2014 admission (Asia-based programme) is 17
December 2012.
Programme presentations
Programme presentations will be held in Asia, Europe,
and the Americas.
In the next three months, information sessions are
scheduled on the following dates and in the following
cities:
5 September 2012 – Hong Kong
11 September 2012 – Singapore
26 September 2012 – New York
2 October 2012 – London
5 October 2012 – Dubai / Abu Dhabi
23 October – Melbourne
25 October – Sydney
20 November – Frankfurt
21 November – Amsterdam
22 November – Zurich
To register for a presentation, please contact
Ms Brigitte Bogaerts.
Institute
EDHEC-Risk Institute
393 promenade des Anglais - BP 3116
06202 Nice Cedex 3
France
EDHEC Risk Institute—Europe
10 Fleet Place - Ludgate
London EC4M 7RB
United Kingdom
www.edhec-risk.com
Newsletter PhD in Finance June / August 2012 - 16 -
EDHEC Risk Institute—Asia
1 George Street
#07-02
Singapore 049145